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Institute
Mit der wirtschaftlichen Schwerpunktverschiebung von der Manufaktur zur Wissensgesellschaft ist unternehmerische Innovationsleistung zum entscheidenden unternehmerischen Erfolgsfaktor des 21. Jahrhunderts geworden. Allerdings unterminiert die Wirtschaft in dem Versuch, durch Leistungsdruck immer höhere Effizienz zu erreichen, um mit den sich rasant ändernden wirtschaftlichen Rahmenbedingungen Schritt halten zu können, ihre wichtigste Voraussetzung für Kreativität und Innovation: die intrinsische Motivation ihrer Mitarbeiter. Gleichzeitig bemühen sich eine Vielzahl an Motivationstheorien darum, einzelne Faktoren als entscheidend für Motivation im Arbeitskontext zu validieren. Allerdings kann nur ein ganzheitlicher Human-Ressource-Ansatz nachhaltig ein hohes Maß an intrinsischer Motivation sicherstellen, wozu bisher keine überzeugenden Konzepte bekannt sind. Demgegenüber leiden sämtliche empirischen Modelle darunter, dass in ihnen für nachhaltige Motivation wesentliche strukturelle Elemente nachweislich deutlich unterrepräsentiert sind. Auf Basis der Korrelation von Flow - als höchster Form der Motivation - mit Happiness untersucht diese Arbeit, inwieweit das im Königreich von Bhutan entwickelte Modell des „Gross National Happiness“, das in den letzten Jahren weltweit zunehmend Aufmerksamkeit erfahren hat, mit seinen neun Haupt- und 37 Unterkriterien wirksam auf die Unternehmenswelt übertragen werden kann, um ebendiese Anforderung zu erfüllen. Es wird gezeigt, dass dieses „Gross Corporate Happiness“-Modell einerseits die wesentlichen Motivationstheorien repräsentiert und insofern dem Anspruch an ein ganzheitliches Orientierungssystems zur Schaffung eines maximal motivierenden Arbeitsumfeldes genügt. Im Rahmen einer empirischen Untersuchung wird weiterhin bei einer Reihe deutscher börsennotierter Unternehmen unterschiedlicher Branchen und Größen nachgewiesen, dass der Erfüllungsgrad in den 37 Kriterien des „Gross Corporate Happiness“-Modells mit der tatsächlichen Mitarbeitermotivation nahezu perfekt korreliert und dieses Modell somit deutlich alternativen Ansätzen zur Identifikation der wesentlichen Faktoren für Mitarbeitermotivation überlegen ist. In einer Nachbetrachtung wird die Frage angerissen, inwieweit dieses Modell, welches sowohl Motivation als auch organisatorisches Potential weitgehend objektiviert ermitteln kann, zur Erweiterung der klassischen Unternehmensbilanzierung geeignet ist, um insbesondere bei Unternehmen der Wissensgesellschaft das Innovationspotential der Mitarbeiter als Unternehmenswert bilanziell zu erfassen und hier eine eklatante Bewertungslücke im strategischen Berichtswesen zu schließen.
This study analyzes whether the introduction of a European smart grid, comprising of a compound of national smart grids, is economically worthwhile. Therefore, ten national cost-benefit-analyses are analyzed, which either address solely the implementation of smart meters or the implementation of national smart grids. Smart meters are regarded as a necessary precondition for the implementation of national smart grids involving private households. Thus, also an analysis of those studies, whose scope is limited, is beneficial. The studies are evaluated in regards to type, height, and distribution of the respective cost- and benefit-parameters. Although distributional effects are not subject to classical cost-benefit-analyses, considering them is significant for this study. Only thereby policy recommendations can be framed that offer state incentive regulations to those actors bearing the highest financial burden. In addition, own calculations are made in order to corroborate the cost- and benefit-analysis of smart grids. These analyze on the one hand the energy saving effect in private households fostered by smart grids, and on the other hand the capacity effect, which quantifies monetarily the reduction of peak load capacities through load shift during off-peak times. Finally, the costs for the necessary infrastructure update for grids are quantified. This study is based on the hypothesis that the future energy system needs to be able to integrate a higher share of renewable energy sources. This allows the following thesis: the costs of a so called dumb grid with a high share of renewable energy sources are higher then those of a smart grid as in the second case synergies can be exploited, load shift can take place, and, therefore, less infrastructure update is necessary. Under the premises that the future energy mix has to include a significant share of renewable energy sources smart grids, hence, create opportunity benefits.
Adler and Dumas (1983) laid the foundation for pricing international assets under deviation from Relative Purchasing Power Parity (PPP). Only Lally (1996) regards the spectrum of international taxation but in his model - he disregards the tremendous impact of exchange gains taxation in International Capital Asset Pricing Theory (IntCAPT). Furthermore, the consensus in economic literature that exchange rates show evidence of a non-linear behavior as elaborated by Dumas (1992), Grauwe (1993) and Serçu and Uppal (1995) and that monetary policy ultimately determines inflation as determined by McCallum (1990) is ignored. In addition to this, a realistic version of the Tax International Capital Asset Pricing Model (Tax - IntCAPM) should incorporate the fact that dividends are stochastic, as developed in the Tax Capital Asset Pricing Model (Tax - CAPM) of Lally (1998), Wiese (2006b) and Mai (2006a). This dissertation develops a theory of taxation in pricing international assets. To understand this theory, in the first part we introduce and discuss the research question and the conceptual procedure of the dissertation. The review of the status of research provides an extensive overview on research pertaining to taxation in IntCAPT. In the second part, the framework of international taxation is introduced, and by introducing the features of exchange gains taxation a new income type in IntCAPT is presented. The analysis of the international tax system with the features of exchange gains taxation leads to the new result that under the hypothesis of Relative PPP certain constellations of international taxation lead to a Tax-IntCAPM that would be equal to the Tax - CAPM. With the features of exchange gains taxation and the modeling of deviation from Relative PPP by non-linear behavior of exchange rate and inflation determined by monetary policy, an extended model of taxation in IntCAPT - the Tax - IntCAPM - is developed and interpreted. The new result is that the integration of exchange gains taxation into the Tax - IntCAPM leads to an international pricing relationship composed of the risky asset's excess return and its world risk premium, which is adapted by exchange gains tax factors. The non-linear deterministic behavior of exchange rates and the determination of inflation by monetary policy lead to the integration of the market equilibrium exchange and inflation rate into the Tax - IntCAPM. International tax arbitrage opportunities lead to the derivation of the Tax - IntCAPM under short sale and borrowing restrictions. To implement this new international capital market model, the Tax - IntCAPM with homogeneous expectations is derived and interpreted. The third part concludes the dissertation with an extensive critique elaborating the boundaries of the models and a conclusion summarizing the main results and analyzing the implications of the findings.
Purpose/topicality: Demand and lead time uncertainty in business logistics increase, but can be mitigated by risk pooling. Risk pooling can reduce costs for a given service level, which is especially valuable in the current economic downturn. The extensive, but fragmented and inconsistent risk pooling literature has grown particularly in the last years. It mostly deals with specific mathematical models and does not compare the various risk pooling methods in terms of their suitability for specific conditions. Approach: Therefore this treatise provides an integrated review of research on risk pooling, notably on inventory pooling and the square root law, according to a value-chain structure. It identifies ten major risk pooling methods and develops tools to compare and choose between them for different economic conditions following a contingency approach. These tools are applied to a German paper merchant wholesaler, which suffers from customer demand and supplier lead time uncertainty. Finally, a survey explores the knowledge and usage of the various risk pooling concepts and their associations in 102 German manufacturing and trading companies. Triangulation (combining literature, example, modeling, and survey research) enhances our investigation. Originality/value: For the first time this research presents (1) a comprehensive and concise definition of risk pooling distinguishing between variability, uncertainty, and risk, (2) a classification, characterization, and juxtaposition of risk pooling methods in business logistics on the basis of value activities and their uncertainty reduction abilities, (3) a decision support tool to choose between risk pooling methods based on a contingency approach, (4) an application of risk pooling methods at a German paper wholesaler, and (5) a survey on the knowledge and utilization of risk pooling concepts and their associations in 102 German manufacturing and trading companies.
Das vorliegende Dissertationsprojekt hatte zwei zentrale Schwerpunkte. Den ersten Schwerpunkt bildete die innovative Insolvenzprognosemodellierung für ukrainische Unternehmen. Dafür wurde im Wesentlichen die moderne internationale Standardmethodik zur Insolvenzprognose auf Basis der logistischen Regression übernommen. Es mussten dennoch auch einige ukrainische Spezifika berücksichtigt werden. Es konnten ausschließlich bilanzielle offenlegungspflichtige Informationen verwendet werden. Die Jahresabschlüsse sind dabei nach den ukrainischen Rechnungslegungsstandards (UAS) verfasst, die auf internationalen Rechnungslegungsstandards (IAS) basieren. Die Kennzahlenbildung erfolgte deswegen nach den Mustern, die für IAS/US-GAAP üblich sind. Abgesehen von den traditionellen Kennzahlen wurden auch zusätzliche, technisch generierte Kennzahlen untersucht. Diese wurden durch geeignete Normierung der sämtlichen vorhandenen Bilanz- und GuV-Posten gebildet. Diese technischen Kennzahlen hatten den Zweck, die für große Industrienationen untypischen Zusammenhänge zu erfassen. Es konnten tatsächlich einige solche Kennzahlen identifiziert werden, die die Insolvenzprognose für ukrainische Unternehmen deutlich verbessern. Dies war auch für einige kategoriale Größen der Fall. So erwies sich bspw. die Region innerhalb der Ukraine ebenfalls als aussagekräftig. Den zweiten Schwerpunkt der Dissertation bildeten die Verfahren zur Kennzahlenauswahl für Insolvenzprognose in den Industrienationen (am Bespiel von Deutschland und USA). Die Auswahl von geeigneten bilanziellen Kennzahlen ist für diese Länder immer noch ein großes Problem, für die es noch keine Standardlösung gibt. Dies ist vor allem auf die betriebswirtschaftliche Theoriedefizite der bilanzbasierten Insolvenzprognose zurückzuführen. Auch die statistische Auswahl der Kennzahlen als erklärenden Variablen ist problematisch. Es wurden deswegen zwei alternative Methoden zur Kennzahlenauswahl vorgeschlagen. Die erste Methode ist betriebswirtschaftlich orientiert, die zweite – statistisch geprägt. Die erste Methode verdichtet die über 40 berücksichtigten traditionellen Liquiditäts- und Solvenzkennzahlen zu einer einziger aggregierten Kennzahl und macht auf diese Weise eine diesbezügliche Kennzahlenauswahl überflüssig. Dies wird durch geeignete Gewichtung und Division der üblichen, auch in den traditionellen Kennzahlen vorkommenden Bilanz- und GuV-Posten erreicht. Es wird gezeigt, wie die Gewichte anhand von empirischen Insolvenzdaten (in diesem Fall für deutsche GmbHs) angepasst werden können. Die Methode wird mit der populären statistischen Methode der schrittweisen Selektion verglichen. Es stellt sich heraus, dass die aggregierten Kennzahlen zur besseren Prognosegüte durch schwächeres Overfitting führen können. Zu den weiteren Vorteilen der aggregierten Kennzahl zählt die Erkenntnis, dass ihre Gewichte in vielen Fällen leichter zu interpretieren sind als Regressionskoeffizienten der traditionellen Kennzahlen. Die zweite Methode verwendet das innovative statistische Lasso-Verfahren zur Kennzahlenauswahl im Rahmen eines Insolvenzprognosemodells für US-amerikanische Grossunternehmen. Lasso ist ein neues vielversprechendes Verfahren zur Auswahl erklärender Variablen in multivariater Regression und bietet viele theoretische Vorteile im Vergleich zu traditionellen statistischen Verfahren. Da das Verfahren neu ist, existieren bis heute nur wenige empirische Untersuchungen, die auf dieses Verfahren zurückgreifen. In diesem Teilbeitrag wird auf die sehr umfassende Compustat-Datenbank zurückgegriffen. Dies ermöglicht die Erfassung praktisch aller relevanten öffentlich verfügbaren Bilanz- und Marktinformationen. Daraus werden insbesondere 100 traditionelle bilanzielle und markbasierte Kennzahlen gebildet. Es werden auch ca. 600 weitere, nicht traditionelle Kennzahlen in die Variablenauswahl einbezogen. Diese erfassen beispielsweise Trends und Branchendurchschnitte in den traditionellen Kennzahlen, berücksichtigen die detaillierten Bilanz- und GuV-Posten usw.. Die sehr präzise Datenerfassung in der Compustat-Datenbank hat es des Weiteren ermöglicht, die fehlenden bilanziellen Informationen als solche zu erkennen und die Qualität des Jahresabschlusses als weitere erklärende Variablen für Insolvenzprognose zu verwenden. Das Lasso-Verfahren wurde auch bei diesen Untersuchungen mit der traditionellen statistischen schrittweisen Auswahl verglichen. Die Prognoseperformance wurde dabei zuverlässig mittels Kreuzvalidierung abgeschätzt. Durch geeignete statistische Signifikanztests wurde gezeigt, dass Lasso in der Tat genauere Prognose liefert. Viele der oben erwähnten nicht traditionellen Informationen erwiesen sich dabei als nützlich. Das Lasso-Verfahren ermöglicht dabei diese Informationen so zu berücksichtigen, dass die traditionellen Kennzahlen nicht ersetzt, sondern lediglich vervollständigt werden.
In an increasingly competitive environment, firms have to optimally adjust both their allocation of input factors and their technology portfolio. The latter determines economies of scope and scale in future research and production. The aim of this dissertation is to achieve better insight into the strategies that firms employ and the impact of these strategies on performance. Hence, this thesis can be seen as having two parts. Chapters 2 and 3 center on the question of outsourcing, market structure and productivity, while Chapters 4 and 5 focus on the strategic alignment of firms and the efficient use of inputs in the knowledge production process, given product market entry restrictions. In Chapter 2 I evaluate whether firms experience significant productivity gains which decide to rearrange their production process by subcontracting in-house activities to outside suppliers. Here, I focus on the influence of service outsourcing, measured by the costs of external contract work. The chapter is based on a unique micro dataset for the German manufacturing sector. My findings suggest that service outsourcing can contribute significantly to a better performance of firms. Firms starting to outsource exhibit a seven percentage points higher growth rate than firms that decide to continue all production activities in-house. Chapter 3 looks at specific market characteristics that favor the outsourcing decision of firms. I test two main hypotheses which I derive from both transaction costs and production costs considerations. My empirical analysis focuses on the German automobile industry, which offers a particularly interesting example in this context since German-car makers have played an active role in restructuring the industry by means of outsourcing. Chapter 4 aims to examine the supply side in greater detail. More specifically, I discuss the impact of a firm’s technology portfolio on its performance, measured in terms of its market value. Based on an expanded Tobin’s q approach, I present evidence for a negative relationship between the number of fields and the market value, combined with a counterbalancing effect of relatedness. Enlarging the technology portfolio in unrelated fields negatively influences the market value of a firm due to the fact that it reduces the ability to exploit future economies of scale and scope. In contrast, diversifying into related areas increases the possibility to benefit from economies of scope, which reduces future costs and thereby increase future profits. The last chapter – at least to some extent – turns back to the question of optimal input allocation and puts the knowledge production process at the center of the analysis. In contrast to Chapter 4, where the focus lies on the alignment of the technology portfolio and the market value of firms, Chapter 5 takes a macroeconomic perspective and assesses the relative efficiency of knowledge production on the country level. Countries are exposed to an increasingly competitive environment, both in domestic and foreign markets for innovative products and future technologies. This process forces nations to continuously update their technological capabilities. Thus, in a globalized world, the efficient usage of the scarce resources devoted to R&D becomes more and more important. While most of the empirical literature affirms a positive link between R&D expenditure, the number of researchers and innovative output, far less attention has been paid to the question of whether the input factors in the knowledge creation process are allocated to their most efficient use. In Chapter 5 I fill the gap in two ways: First, I calculate the relative efficiency of public and private R&D expenditures in the OECD using a nonparametric efficiency analysis approach, the data envelopment analysis (DEA) technique. Using country level R&D and patent information, I present efficiency scores based on intertemporal frontier estimation for the period 1995 to 2004. Secondly, I take a closer look at the different market structures of these countries. In particular, I test the hypothesis that regulation reduces competition by raising barriers to entry, thereby lowering competitive pressure and the incentives to innovate efficiently. I examine the impact of countries’ product market regulation on their relative R&D efficiency by applying a consistent two stage truncated regression approach proposed by Simar and Wilson (2007).
This dissertation investigates the forces driving firm innovativeness, performance, and internationalization, focusing on the effects of firm location by employing survey data from approximately 6,200 East German firms. The impact of firm environment is captured through three aspects: locational conditions, collaboration activities, and competition situation. What makes this thesis unique is that it uses firms’ perceptions of the importance and quality of 15 different locational factors to assess the influence of locational characteristics. This approach takes into consideration that not all locational factors affect the performance and operations of all firms equally. The analysis also includes firm-related factors that allow consideration of firm heterogeneity in terms of size, age, and industry affiliation.
Financing Small Businesses in Western Europe – A Micro-Level and an Institutional Perspective
(2007)
Improving the access to finance for entrepreneurial endeavours is crucial in fostering competition, innovation and growth in Europe. A series of studies has shown that small companies and start-up firms play an important role for an economy’s growth and development perspectives. However, access to sufficient capital to either start operations or grow and further develop their activities is a difficulty faced by many small businesses in Europe. Most financial providers consider small business finance a high-risk activity that generates high transaction costs and/or low returns on investment, and therefore refrain from extending loans to this potential client group. Solving this dilemma has become a major concern to entrepreneurs, financial institutions, and public policymakers. Based on three different data sets, this thesis provides new insights into the issue of small business finance from a micro-level as well as an institutional perspective. The results contribute to further the understanding of the financial needs and behaviours of small businesses and offer some practical recommendations for those involved in improving the access to finance for these enterprises. These findings can be summarised as follows. (1) There is a demand for microlending products in Germany. The target group is typically made up of retail business owners, foreign business owners, and persons with a loan history on the private market rather than the bank market. Key product features include fast access to these loans and flexibility in the repayment schemes. Demand for these products also arises in the periods after the foundation of the business. Therefore, adequate products should particularly focus on those businesses that are already operating. (2) Self-employed households tend to intermingle their household and business finance by transferring funds obtained through consumer loans to their businesses. This behaviour is particularly pronounced for those households that are credit constrained, which indicates an evasion strategy: business loans that cannot be obtained regularly are substituted through consumer loans. (3) Organisations that provide access to finance for small businesses are diverse. Any performance measurement of these entities must therefore be based on a theoretical rationale that takes into account the heterogeneous nature of this sector. A useful typology differentiates these institutions along three dimensions: organisational structure, type of lending, and orientation towards the client or the funder market. Social and financial aspects of performance are closely related to these dimensions and should be evaluated accordingly. Therefore, a policy aimed at improving the finance of small businesses should take the following into consideration. (1) Federal and local government activities on supporting Microfinance institutions (MFIs) should be refocused. Instead of developing own products (which are then distributed through local MFIs) or the provision of loan capital with heavy restrictions on the access to their special loan funds, policy should concentrate on the provision of risk capital available without any restrictions except for a maximum loan size and outreach-oriented targets. Banks and MFIs which aim to use these special funds should then be incentivised to do so. (2) MFIs are important in improving the access to finance for small businesses in Western Europe. Policy has to acknowledge, though, that an MFI sector cannot do the whole job. Consumer lending products of banks are an important source of business finance, which prevents these entities from establishing a credit history and thereby entering the formal banking market. Banks should therefore be incentivised to identify “hidden” business customers and promote them into their business department. (3) Policy makers are interested in identifying MFIs that use public funds in the most efficient way. Peer groups of these institutions could be created using the three dimensions mentioned above to enable more appropriate comparison. After identifying MFIs that perform within each peer group, their lending activities should not be restricted to overwhelming rules and regulations. Rather, they should be supported with sufficient capital to achieve scale and be given the opportunity to operate for some years with a minimum of restrictions on their lending activities.
The first chapter investigates the factors that explain the level of technical efficiency of a firm. In an empirical analysis, a unique sample of about 35,000 firms in 256 industries from the German Cost Structure Census over the years 1992-2004 is used. The technical efficiency of the firms is estimated using distribution free assumption and then it is relates to firm- and industry-specific characteristics. One third of the explanatory power is due to industry effects. Size accounts for another 25 percent and the headquarter's location explains ten percent of the variation in efficiency. Most other firm characteristics such as ownership structure, legal form, age of the firm and outsourcing activities have an extremely small explanatory power. R&D activity does not exert any positive influence on technical efficiency. In the second chapter a special attention is given to allocative efficiency. The traditional approach to measuring allocative efficiency exploits input prices, which are rarely known at the firm level. In this paper we propose a new approach to measure allocative efficiency as a profit-oriented distance to the frontier in a profit--technical efficiency space, which does not require information on input prices. To validate the new approach, we perform a Monte-Carlo experiment providing evidence that the estimates of allocative efficiency employing the new and the traditional approach are highly correlated. Finally, as an illustration, we apply the new approach to a sample of about 900 enterprises from the chemical manufacturing industry in Germany. The third chapter notices that the German chemical manufacturing industry experienced a major downsizing during 1992--2004. On the average, size of the firm almost halved. Using modern frontier efficiency analysis, this paper investigates technical and scale efficiency of firms. Based on reliable census data, analysis suggests that firms were not primarily concerned with improving technical efficiency, but rather establishing of an optimal scale of production. The share of scale efficiency firms has been persistently increasing, and downsizing was found to be a rational behavior because all scale inefficient firms have continually operated on decreasing returns to scale portion of technology.
In this thesis different definitions of financial contagion are explored. These definitions are applied to test for evidence of contagion on a number of stock markets and during several turbulent periods. First, we investigate the question whether emerging stock markets are more or less vulnerable to large financial shocks than developed capital markets. Second, this study analyzes how significant financial turmoil can change the direction and strength of spillovers between a mature calm market and emerging crisis markets. Additionally, we explore the direction of spillovers and contagion effects between two crisis markets during the same turbulent period. Third, dynamic dependencies between mature stock markets are explored to learn how the strength of spillovers changes in tranquil and turbulent times and how crisis markets are influenced by the leading stock market.
Die EU-Osterweiterung war und ist das bestimmende Thema in Europa seit dem Kollaps der ehemaligen sozialistischen politischen Systeme Mittelosteuropas und ihrer planwirtschaftlichen Ökonomien. Das letzte Jahrzehnt des vergangenen Jahrtausends war vor allem durch die wirtschaftliche Annäherung der europäischen Nationalstaaten bestimmt und politisch vom Bekenntnis zu einer Union gekennzeichnet. Am 1. Mai 2004 trat nach einem ca. eine Dekade währenden Beitrittsprozess die Osterweiterung in Kraft. Für die Gesundheitsversorgung, die bislang weitgehend auf nationaler Ebene erfolgte, eröffnet sich erstmals eine grenzüberschreitende Perspektive. In der vorliegenden Arbeit wird der Effekt der Osterweiterung auf den Gesundheitssektor exemplarisch anhand der Region Ostbrandenburg-Lubuskie analysiert. Die Region hat 2 Millionen Einwohner und erstreckt sich auf einer Fläche von 25.000 qkm dies- und jenseits der deutsch-polnischen Grenze. Die Bedeutung des Gesundheitssektors für diese Region steht außer Frage. Aus deutscher Sicht ist die Versorgungssicherheit mit medizinischen Leistungen ein wichtiger Standortfaktor für die wirtschaftliche Entwicklung im Allgemeinen, will Ostbrandenburg die Abwanderung aus anderen Sektoren vermeiden bzw. die Attraktivität für Zuwanderer in diesen Sektoren stärken. Andererseits gibt es wohldokumentierte Schwierigkeiten, in ausreichender Menge medizinisches Fachpersonal zu gewinnen. Dies lässt die Frage nach Chancen, die sich aus dem Beitritt Polens zur EU ergeben, ins Blickfeld geraten. Die enormen Einkommensunterschiede für medizinisches Fachpersonal zwischen beiden Ländern lassen die Wanderung von Lubuskie nach Ostbrandenburg, nicht jedoch in der Gegenrichtung, attraktiv erscheinen. Eine im Rahmen dieser Arbeit vorgenommene Befragung von Anbietern von Gesundheitsdienstleistungen im deutschen und polnischen Teil der Grenzregion hat ergeben, dass die Bereitschaft, im Nachbarland tätig zu werden, unter den polnischen Ärzten (anders als bei ihren deutschen Kollegen) in der Tat hoch ist. Allerdings sind der Informations- und Beratungsbedarf sowie die Bedenken in Bezug auf die finanziellen Risiken einer Wanderung nach Ostbrandenburg hoch. Hier bietet sich, wie in der Arbeit gezeigt wird, eine Fülle von Möglichkeiten für die im Gesundheitssektor politisch Agierenden, die abwanderungsbereiten Ärzte für die Tätigkeit in Ostbrandenburg zu gewinnen.
Corporate governance aims to reduce expropriation of investors by managers. This thesis identifies and empirically examines three corporate governance mechanisms: cross-listing in the United States, close bank-firm relationships in Germany and corporate ownership structure in an emerging market. To test the implications of these mechanisms the following questions are addressed: (i) is cross-listing in the United States an effective corporate governance mechanism reducing the profitability of insider trading? (ii) what is the influence of close bank-firm relationship on corporate investments? (iii) how does the corporate ownership structure affect the information content of accounting earnings? First, the thesis addresses the influence of cross-listing in the United States as a corporate governance mechanism. It examines information content of insider trading in British companies that list only domestically and in those that also cross-list in the United States. It argues that because of legal bonding, insiders in companies cross-listed in the United States may gain significantly lower abnormal returns, as they may be less likely to trade on price sensitive information. Generally, the empirical results show that insider trading in cross-listed companies is significantly less profitable than in companies listed domestically. The main findings corroborate the notion that a company can voluntarily strengthen protection of outside investors by cross-listing in the United States and thus renting more effective legal protection of outside investors. To address the second research question, the focus is placed on the unique close bank-firm relationships specific for the German corporate governance system. Close bank ties may reduce information asymmetry and enable banks to supply more external finance to the firm and consequently foster investment. This study empirically examines the influence of close bank-firm relationships as a corporate governance mechanism on liquidity sensitivity of investment of German manufacturing firms. The empirical evidence shows that close bank-firm relationships reduce the firm’s liquidity sensitivity of investment. Investments in firms with close bank ties are much less sensitive to internally generated cash flow than for firms without close bank ties. The results support the common belief that universal banks are an important element of the German corporate governance system and close bank-firm relationships have a positive effect on the firm’s investments. The ownership structure as a corporate governance mechanism in an emerging market is studied on the Polish stock market. In particular, the thesis investigates the implication of managerial ownership and block holders on the information content of accounting earnings. The results demonstrate a negative impact of managerial ownership on the information content of earnings when the company has low unrelated block ownership, and the relationship reverses for companies with high proportion of unrelated block ownership. The evidence suggests that unrelated block ownership may act as a partial substitute for missing corporate governance institutions to increase the information content of earnings. Overall, each of the markets investigated in this thesis has a different set of corporate governance mechanisms that are proved to work efficiently in given environment. The US system is recognised as the most effective in the world and can be borrowed by foreign companies through cross-listing in the United States. In Germany, close bank-firm relationships are identified as effective corporate governance mechanism that protects investors and helps maintain long-term development and stability of the company. The concentration of corporate ownership structure is characteristic for emerging markets, including Poland, where large shareholders have the power to monitor managers and can act as a corporate governance mechanism that substitutes lacking law enforcement.
Banking Efficiency, Consolidation and Foreign Ownerhip: Evidence from the Polish Banking Market
(2005)
The thesis consists of four separate papers that can be read individually. In the first paper “Efficiency of the Polish Banking Industry: Foreign versus Domestic Banks” we analyze the efficiency of foreign and domestic banks. The second paper entitled “Foreign Acquisitions and Industry Wealth Effects of Privatisation: Evidence from the Polish Banking Industry” investigates the reaction of Polish bank stocks to acquisition by foreign investors. The third paper “Consolidation of the Polish Banking Sector: Consequences for the Banking Institutions and the Public” was motivated by the consolidation process in Poland and is the first attempt of its analysis. In the fourth paper “Does the Bank Lending Channel Work in a Transition Economy? A Case of Poland” we study the role of Polish banks in the transmission of the monetary policy. Our findings indicate that foreign ownership brings a number of positive developments to banks in transition countries, such as much needed capital and know-how. Moreover, the results show that all banks, not only those acquired by foreign investors, benefit from increased presence of foreign investors. However, we also discover that the results are mainly due to higher efficiency of greenfield banks and the fact that foreign investors target slightly more efficient institutions. Finally, we also document that foreign bank ownership has an impact on the transmission of the monetary policy.
Asset Pricing in Emerging Capital Markets: Stock Returns, Trading Volume, and Returns Volatility
(2005)
In this thesis, I investigate diverse aspects of capital market efficiency in selected emerging markets. In chapter 2, the focus of analysis is on the role of trading volume and capitalisation in the process of information absorption by the stock prices. Empirical analysis is conducted for stocks listed on the Warsaw Stock Exchange (WSE) and it can be shown that stocks with higher trading volume and larger capitalisation adjust to common information quicker than their low volume, small capitalisation counterparts. In chapter 3, a dynamic relationship between trading volume and subsequent stock returns is investigated. The results are interpreted in light of existing theoretical models. It is argued that empirical evidence indicates that most of the trades on the WSE are conducted due to liquidity needs or changing preferences of investors, and are not driven by arrivals of private information. The impact of institutional investors on market efficiency is investigated in chapter 4. This analysis is based on diverse theoretical models, most of which arguing that institutional trading deteriorates market efficiency by increasing autocorrelation in stock returns. However, an empirical investigation conducted for WSE stocks traded most intensively by pension funds reveals that the impact of institutional trading on market efficiency is beneficial. Namely, stocks traded by institutions are characterised by lower autocorrelation than the remaining ones, which indicates their quicker adjustment to news and, hence, higher efficiency. Last, we analyse international financial spillovers in chapter 4. For the US and eight Asian markets, it is investigated whether, and to what extent, news originating in one country are incorporated into security prices abroad. The main result of this empirical work is that the US market leads the Asian ones. However, under certain conditions such as exceptionally high volatility or low returns, Asian markets might exert significant influence on the behaviour of the US market. This phenomenon can also be interpreted as evidence of financial contagion.
stock markets linkages and analysis of the arbitrage between spot and futures markets. The first part is devoted to examination of long and short term dependencies between markets. As an example of long term relationship between stock markets, the influence of US market on the most important markets during twenty years period was subject of examination. In turn, to examine short term relationship the dependencies between Japanese and Hong Kong markets during Asian crisis 1997 were scrutinized. The examination of stock of linkages was carried out by application of Markov Switching models. This approach has an advantage to the previous methods because it does not assume a priori a form of relationship between financial markets. Moreover, the Markov Switching framework allows calculating the probability that one market is in crisis or calm regime conditional on different sets of information about other markets. According to the obtained results the contagion between financial markets was rejected, however, sufficient facts supporting the presence of feedback spillovers were found. The second part of thesis presents results of detailed analysis of arbitrage opportunity between spot and futures markets on Polish blue chips index WIG 20. The Polish stock market is one of the emerging futures markets in Europe, it is characterised by proprieties which were absent in case of previous studies of arbitrage. The analysis shows that the lack of efficiency in arbitrage sense is due to the fact that investors have limited access to short sale, there is uncertainty about the size of interest rates, and dividends are paid in an irregular way. Finally, the thesis provide detailed mathematical derivation of the price of future contract and the value of forward contract on zero coupon bond when the short term interest rate is modelled by Cox-Ingersoll-Ross model. In addition, the thesis contains some comments on the methods of deriving price of contigent claims.
This thesis contributes to the literature by providing new insights into the patterns and market implications of insider trading. The inferences presented here are based on the insider trading reports filed with the Polish Securities and Exchange Commission and the New Zealand Exchange. First, the empirical inquiry examines the undue transaction profits accruing to supervisory and executive boards members, and their next of kin. Second, a hypothesis that an aggregate insider trading index can be used to formulate forecasts about future stock market development and macroeconomic fluctuations is tested. Third, the assertion that insider trading promotes more accurate pricing of assets is verified against the actual data. Last, it is argued that the presence of informed trading in the market increases the volume-induced return autocorrelation.
The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, which makes the results of our study interesting to a broader international audience. This thesis consists of four separate self-contained essays. They extend four streams of the empirical literature on the developing European stock markets: investment behavior of institutional investors; impact of institutional demand on individual and aggregate stock prices; effects of trading mechanism regulation on stock return autocorrelation and volatility; predictability of stock returns due to long-run relationships between developing European and mature markets. Some of the results of the present research appear to challenge findings documented in the previous literature and question the extant policies, thus suggesting areas for future research.
the group- and the individual-based micro-lending contracts. The success of group lending has been attributed to the ability of the lender to alleviate asymmetric information problems. The existing theoretical literature offers a number of explanations for this phenomenon including the building of homogeneous groups, strong social ties between group members, internal group pressure to repay loans, and a willingness to help fellow group members. Using data from a questionnaire given to 236 borrowing groups of the microfinance institutions Constanta (Georgia) and FORA (Russia), this study describes to what extent borrowers behave as predicted by theory. According to the empirical results, the assortative matching brings informational advantages to the lenders and helps them mitigate the adverse selection problem. It is, however, not an absolutely necessary condition for the success of the group lending. When the selection period is very short borrowers oft The analysis of the individual lending mechanism - based on the experience of 130 borrowers of the Microfinance Bank of Georgia – shows that there are three core elements, a) the demand for non-conventional collateral, b) a screening procedure which combines psychological with economic elements, and c) dynamic incentives, which ensure high repayment rates of up to 100% if small amounts of capital are lent on an individual basis. Finally, the analysis of the key characteristics of the surveyed borrowers reveals that the target group, which can be efficiently served by either one of the two mechanisms, is different. Individual loan contracts better fit to businesses with a dynamic perspective, joint-liability approaches better fit to rather static businesses. Only borrowers with a dynamic perspective but without collateral are forced to make use of the joint-liability approach until they are able to switch to individual loans. The conclusion is that there is no better design than a combination of individual-based and joint-liability loan contracts if a micro-lender aims to reach all types of micro-entrepreneurs in a certain region.
The present thesis is a microstructure study of the Warsaw Stock Exchange (WSE). In the first part, I find evidence in favor of the so-calles mixture of distributions hypothesis according to which the time-variant daily order flow translates into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is neither accompanied by higher liquidity/price efficiency nor by persistent abnormal returns of continuously listed stocks upon transfers. The third part demonstrates that continuous trading became more attractive and liquidity in this system increased due to the appearance of a large number of institutional traders after the Polish pension reform. In the fourth and final part I show that price limits in the call auction system of the WSE constitute a costly regulation by causing excessive volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this regulation.